EViews code snippet for estimating the term structure of GaR as in Adrian et al (2022). Requires an EViews workfile with data: GaREst.EViews
Adrian, T., Grinberg, F., Liang, N., Malik, S., and Yu, J. (2022) The Term Structure of Growth-at-Risk, American Economic Journal: Macroeconomics, vol. 14, no. 3, pp. 283–323.
Matlab code for skew-t distribution that allows for both fat tails and skewness. Based on Azzalini and Captanio (2003).
Calculating t-distrbution PDF: t_pdf.m
Calculating t-distribution CDF (by incomplete Beta function): t_cdf.m
Calculating t-distribution CDF (by numerical integration of PDF): t_cdf_integral.m
Calculating skew t-distribution PDF: skewt_PDF.m
Azzalini, A. and Capitanio, A. (2003) Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution, Journal of the Royal Statistical Society Series B, 2003, vol. 65, issue 2, pp. 367-389
Python program to estimate GaR models as in Adrian et al (2019). The estimation results can be combined with the skew-t distribution to characterize the GDP distribution. [Link will be available soon.]
Adrian, T., Boyarchenko, N. and Giannone, D. (2019) Vulnerable Growth, American Economic Review, vol. 109, no. 4, pp. 1263–1289.